| The problem of financing difficulties and expensiveness for small and medium-sized enterprises has always been one of the important issues that need to be resolved urgently in China's economic development and reform.From the perspective of indirect financing,SMEs,especially technology-based and innovative SMEs,generally have the characteristics of light assets,small historical revenue,large R&D and market input.The growth of these companies is often accompanied by some uncertainties.These basic characteristics are basically inconsistent with the requirements of strong guarantee for credit financing.From the perspective of direct financing,angel investment,venture capital and private equity investment have higher risk tolerance,higher respect of future earnings of investment,which can better suit to the characteristics of small and medium-sized innovative enterprises.However,This type of capital has strong profitability requirements and subsequent exit mechanism arrangements.If we want to increase the proportion and efficiency of direct financing,we must have an efficient capital market suitable for small and medium-sized enterprises as a match.The NASDAQ market in the United States is a good example.The NASDAQ market was formally established in 1971.Through its institutional arrangements are different from the New York Stock Exchange,the NASDAQ market effectively supported information technology,bio medicine and the Internet in the second half of the last century.The development of small and medium-sized enterprises in emerging industries has also driven the development of the US venture capital industry.In order to solve the problem of direct financing of SMEs,China has also proposed the goal of building a multi-level capital market.After more than 20 years of development,China's capital market has gradually developed into a multi-level structure from the initial incomplete and single-level market.At present,China's capital market includes main board market from Shanghai Stock Exchange and Shenzhen Stock Exchange,small and medium-sized board market from Shenzhen Stock Exchange,ChiNext(growth enterprise market)from Shenzhen Stock Exchange,National Equities Exchange and Quotations(NEEQ or new third board),regional equity market and securities trader OTC.China's new third board market has been developing rapidly in recent years,with more than 10,000 listed companies.However,the development of the new third board is also facing severe challenges.At present,the most serious problem of the new thirdboard is undoubtedly the liquidity problem.new third board listed enterprises transaction is not active,a large number of zombie enterprises exist.Due to the pioneering nature of this problem in practice,the academic circle has a certain lag in its research,and the "black box" problem of the liquidity of the new third board is always lack of systematic research and analysis,resulting in the lack of rigorous policy recommendations for the improvement of the new system.China's ChiNext Listed companies and NEEQ listed companies are in the same political environment,facing the same tax mechanism and macro environment,but the liquidity level between the two markets is significantly different.Why do enterprises with similar profitability and main business have active transactions,sufficient turnover and sufficient liquidity when they are listed on the ChiNext,and little attention when they are listed on the new third board,even 0 transactions on one day.What causes this difference? How different is the liquidity? If it's not macro or endogenous factors,then which factor from market microstructure,namely institutional differences,that cause this situation? Only after a comprehensive analysis and comparison,find out the most important institutional differences and influencing factors,can important policy recommendations be put forward for solving the liquidity problem.This thesis first analyzed the development status and developing problems of ChiNext and new third board in China,and compared the listed companies of ChiNext and new third board,and found they are very similar no matter in regional distribution,or industry distribution and financial status.However,when comparing the two markets with the width and depth of the market as measurement index of liquidity,the difference is striking.The liquidity of China's ChiNext market is relatively sufficient and in a leading position in the world,while the liquidity of China's new third board is seriously insufficient,despite many attempts to change the micro-structure of the market,with little effect.In this thesis,listed companies are divided into different types and compared according to the stock price level and the number of outstanding shares.It is found that price is inversely correlated with liquidity,while the number of outstanding shares is positively correlated with liquidity.The high frequency data of transaction is used to compare multiple indicators and multiple dimensions of ChiNext and NEEQ,such as the price difference,price depth,trading volume,turnover rate,etc.Meanwhile,the time-sharing characteristics of the price difference,price depth and transaction amount of ChiNext are analyzed.Explore the reasons for the difference in liquidity between ChiNext and new third board,and finally settle on the micro structure of the market.From the aspect of market access threshold,this thesis analyzes the listing conditions of ChiNext and the listing threshold of new third board.The difference and appropriateness principles of market participants,especially investors,are compared.The differences of market microstructure such as trading mechanism and information disclosure are compared.It is found that the entry threshold of the new third board for investors is much higher than that of the ChiNext.Does the appropriateness requirement of the new third board investors become the main reason for the serious shortage of the number of new third board investors and finally cause liquidity problems? By analyzing the co-integration relationship between ChiNext and new third board in China,it was found that there was a co-integration relationship between ChiNext and new third board from March18,2015 to October 30,2015.After 2015,as China's gradually operation standardization and strengthen in supervision in new third board,the act that achieving trading qualification through a noncompliance way by investors mismatch the new third board trading terms is contained.The long-term equilibrium relationship between ChiNext and the new third board is rectified.The empirical results show that there is no co-integration relationship between them.It also further reflects that the change of investor appropriateness can cause the change of the relationship between ChiNext and NEEQ.On the other hand,the trading mechanism of the new third board is also very different from the ChiNext,especially the market maker system introduced by the new third board.Investors don't trade against other investors as they do on ChiNext.Instead,they trade against market makers.The introduction of market maker trading system will inevitably lead to the difference of liquidity suppliers between China's ChiNext and new third board.Different market microstructures of ChiNext and new third board lead to the difference in investor structure and trading mechanism.Due to different transaction subjects' different information,capital size and professional degree,investment behaviors and trading decisions will also be significantly different.In the end,in China the ChiNext is provided by individual investors,and the new third board is provided by market makers.The difference of liquidity suppliers leads to the difference of liquidity factors in two different markets.This thesis makes an empirical analysis of the liquidity influencing factors of ChiNext and new third board by using transaction data.Through empirical analysis,itis found that the liquidity of ChiNext is mainly affected by the number of shares outstanding,number of shareholders,return on equity and asset-liability ratio.Generally speaking,the thesis selects turnover rate as a measure of liquidity.The higher the turnover rate,the more active the transaction of the stock and the higher the liquidity.The number of shares outstanding and the number of shareholders is calculated and merged into the number of shares held by the unit shareholders.This indicator is inversely proportional to the turnover rate,that is,the more the number of stocks held by unit investors,the easier it is to cause the lock position,the less the stock flow,the less active trading and low liquidity.Return on equity reflects the company's profitability,which is proportional to liquidity.The better the company's earnings,the higher the share price,which will attract more investors to trade the stock,the higher the turnover rate.The ratio of assets to liabilities reflects the proportion of equity assets and debt assets.The higher the ratio of assets to liabilities,the higher the proportion of liabilities of the company and the higher the liquidity of the stock.The liquidity of stocks under the market-making system of the new third board is mainly affected by the number of outstanding shares,number of shareholders,number of market-making merchants,.Through empirical analysis,this thesis finds that the influence of the number of stock outstanding shares,number of shareholders,return on equity and asset-liability ratio on the liquidity of the new third board is consistent with that of the liquidity of the ChiNext.However,the new third board added the index of market making merchants,which was found to be proportional to liquidity through empirical analysis.In the new third board market,the more market-making merchants there are,the more competition there is,and the higher the market liquidity.Finally,this thesis puts forward relevant suggestions on the development of China's new third board from the following aspects: perfecting the market making system,optimizing the investor structure of the new third board,improving the quality of listed companies on the new third board,perfecting the stratification system of the new third board,promoting the transition of the new third board and delisting system.At the same time,China's ChiNext is also proposed from the information disclosure system improvement,transaction mechanism optimization and regulatory and market tradeoff perspective. |
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